A regime-switching Levy framework, where all parameter values depend on the value of a continuous time Markov chain as per Chevallier and Goutte (2017), is employed to study US Corporate Option-Adjusted Spreads (OASs). For modelling purposes we assume a Normal Inverse Gaussian distribution,...

This paper provides a method to forecast day-ahead electricity prices based on autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroskedastic (GARCH) models. In the competitive power market environment, electricity price forecasting is an essential...

Rapid urbanization is a fact of live even in the least developed countries (LDCs) where the lion’s share of the population presently lives in rural areas and will continue to do so for decades to come. At the turn of the millennium 75% of the LDCs’ population still lived in rural areas and...

The recent U.S. trade policy shift has reignited interest about the macroeconomic effects of import tariffs. This paper examines the impacts of import tariff shocks on U.S. macroeconomic performance using quarterly data from 1989-2017. Relying upon the estimation of structural VAR model with...

Autoregressive Conditional Heteroscedasticity (ARCH) models have successfully been employed in order to predict asset return volatility. Predicting volatility is of great importance in pricing financial derivatives, selecting portfolios, measuring and managing investment risk more accurately. In...

This paper examines the stationarity of real GDP per capita for 27 OECD countries during the period 1950 to 2004. Using ADF unit root test on single time series, it is found that real GDP per capita series of most OECD countries have unit root. This outcome, however, might be due to the...

This study reviews the movement of Islamic stock indices in selected countries in the Organization of Islamic Cooperation (OIC) with high number of muslim population namely Indonesia, Malaysia, Turkey, Qatar, Bahrain, and Oman. The objectives are to examine the changes in cross market linkage...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Objective We examined whether and how levels of environmental concern changed over time in the UK, from 1991 to 2008-2009, as well as how environmental concern relates to socio-economic characteristics across this same time frame. Methods Using item response theory models on the last three...

This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...